StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 2 3 4 5 ... 49 >>Post Follow-up
BarTune1
404 posts
msg #130949
Ignore BarTune1
9/7/2016 9:20:48 PM

@GMG - that was useful information.

As for the VXX, I've had great success trading it, but as i said, my systems are based on the VXX itself and not the index.

I do have most of Larry Connors material. While the vast majority of his systems are mean reverting - in the case of the VXX - his research indicate it is not mean reverting and thus his primary system is trend following based on moving averages and cross-overs.

It is also interesting as Connors also indicates that VXX is good for pair trading. The article I referred to in my post was written in 2012. Had you paired a long VXZ with a short VXX position, you would have made out like a bandit the last 4 years. You could have bought on almost every dip and made money. I'd post the chart but I'm not sure how .... on stockcharts you can enter the symbol VXZ:VXX and it charts the pair ratio.

I've had real good luck shorting UVXY. It is notorious for being one of the more poorly structured leveraged ETFs and it suffers from a significant decay as a result of rebalancing and other costs. The VIX itselt could stay in a very tight range and UVXY will decay. I like those odds and have been shorting other triple leveraged ETFs also.

gmg733
619 posts
msg #130952
Ignore gmg733
modified
9/8/2016 12:02:53 AM

As a side note, XIV and SVXY have the opposite effect of VXX. Think about that for a while. If you get a pull back in XIV or SVXY, BTFD (within reason, that is why it is trading). You get a gradual continuous long from the short /VX futures rolling. Price is not mean reverting, but volatility is.

The only true exposure to ^VIX is via options. I'd have to figure out how to set this up. The issue is the ^VIX options trade a little differently than normal equity options.





BarTune1
404 posts
msg #130955
Ignore BarTune1
9/8/2016 9:29:46 AM

I think that paper trading (or trading in a dummy account) with a few VX futures contracts might be useful to see how they track. I'm not certain about the position sizing aspect.

You might have too much exposure with one contract. I think you would have to play around with the options also - spreads in particular - whether bull, bear, calendar or ratio - to get the desired effect (delta close to 1 with the VIX) and to address overall $ risk.

Kevin - you should be paper trading the futures !

mahkoh
891 posts
msg #130962
Ignore mahkoh
9/8/2016 2:49:48 PM

mahkoh
599 posts
msg #130915
modified 9/6/2016 5:15:32 PM

I think the best one could do is sell Sept 20 10 calls as proxy for short positions and buy Sept 20 10.5 calls if you get signals to go long. Deltas are over 0.99 for both and spreads 20 cents.
It appears 10 is the the lowest available strike.

--------------------------------------------------------------------

Looking at this in realtime today the best solution is trading the October or maybe even the November expirations, Sell $10 calls as short and buy $10,5 calls to go long. Delta decrease is much slower if your options move in the money, and trading at $7 a contract for the 10 strike there is sufficient room for profit.

gmg733
619 posts
msg #130973
Ignore gmg733
modified
9/8/2016 7:30:01 PM

The problem with /VX contracts is when you are in contango and long you'll be sliding down the curve everyday you hold it thus losing money.



Kevin_in_GA
4,548 posts
msg #130974
Ignore Kevin_in_GA
modified
9/8/2016 7:32:39 PM

SIGNAL UPDATES FOR TOMORROW (9/9/16) AT THE OPEN:

A NEW LONG BUY SIGNAL
has triggered from VIX LONG BUY #2

A NEW SHORT SELL SIGNAL has also been triggered from VIX SHORT FILTER #10

THE LONG POSITION FROM VIX LONG SIGNAL #1 CONTINUES TO BE HELD, and is currently up 0.72% (entered on 9/6 at 12.42, currently at 12.51).

Entering both a long and short positions seems counterintuitive, but all that is likely to happen is that any gains or losses seen in one side will be negated by the other position, so there is basically no risk involved. In many ways this is a "non-signal" since it results in a net neutral position.

An alternative approach is to wait until the first of these two signals closes and enter the second signal at that point. As several folks have correctly pointed out, the VIX Futures are in contango, so factor that into your decision process.

Kevin_in_GA
4,548 posts
msg #130996
Ignore Kevin_in_GA
modified
9/9/2016 10:15:13 AM

Big move this morning - my VXX position is very solid right now (2000 shares purchased at $34.50). I have placed a protective stop at $35.25. Updated from earlier stop at $35.00 which was updated from an even earlier stop at $34.80. I think this is not the start of the apocalypse so I want to keep a reasonable trailing stop in place.

Update - protective stop now at $35.45.

Also now long 1000 shares of XIV at $38.45. May need to add to this position before the end of the day.

Kevin_in_GA
4,548 posts
msg #130998
Ignore Kevin_in_GA
modified
9/9/2016 11:00:51 AM

Out of my VXX position at $35.45 for a gain of $1866 after commissions (+2.75%).

EDIT: Should stick to the system and not try to second guess - VXX now at $37.00 and XIV down to $36.25

mahkoh
891 posts
msg #131006
Ignore mahkoh
9/9/2016 12:48:19 PM

Now here's something I do not quite understand: VIX Nov 10 calls bid/ask were at 7.10 / 7.30 at the close yesterday with a delta of 0.998. The index is now trading $2.80 higher so one would expect the calls to be at least somewhere near $9.50 . Well, not so much.Bid ask is 7.90 / 8.10 , delta at 0.994.

The Sept 20 $10 calls: Yesterday 3.20 / 3.40, currently 5.00 / 5.20 with delta 0.998. Not by far the move we see in the index, but much better than the Nov expiration.

I was always under the assumption that an option at 1 delta would move 1 on 1 with the underlying, but apparently that is not the case?

gmg733
619 posts
msg #131026
Ignore gmg733
modified
9/9/2016 3:28:01 PM

@mahkoh

Your answer lies in the greeks and the black-scholes model. The closer date options will have more gamma the closer to expiration you get than options that are longer dates ones. Vega is also naturally higher on longer dated options.

If you had all your greeks from yesterday and then from today you'd find your answer. While delta typically is a representation of price in terms of a move of the underlying, there are other forces at play like theta, gamma and vega.

Most options traders trade volatility (not necessarily in terms of VIX per se) but in the underlying. In your case the underlying is well volatility. :)

@Kevin

Nice trade regardless. I fell victim to the same issue this morning. I had a PAINFUL IWM short call trade going from August and took today;s relief as a means to get out. I left $1000 on the table. But I have plenty of short deltas left if this continues for a few days. Would like to see two more days of down days to book some more profits. Then I'll be looking into a SVXY long trade depending how the market holds up. OpEx week next week so I'm looking for a pop and a drop in vol.

Trade well all!

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